Using an electric mixer, whip the heavy cream on medium speed until frothy. Increase the mixer speed to high and beat until stiff peaks form. Place the bowl with the whipped cream in the refrigerator until needed.
Stir coffee, espresso, and 2 tablespoons Kahlua in a wide bowl or pie plate until espresso dissolves; set aside.
Beat the mascarpone cheese on medium speed until smooth and light. Reduce the mixer speed to low and add the powdered sugar, vanilla and remaining 2 tablespoons Kahlua. Once combined, increase the speed to medium and beat until thoroughly combined and smooth.
Using a rubber spatula, fold one-third of the whipped cream into the mascarpone mixture to lighten, then gently fold in the remaining whipped cream until no white streaks remain.
Working one at a time, drop one-third of of the savoirdi into the coffee mixture, quickly roll, and remove and transfer to a trifle bowl. Arrange the soaked cookies in a single layer on the bottom of the trifle bowl, with the cookies positioned on their sides (see photo above), breaking or trimming them as needed to fit into the dish.
Spread one-third of the mascarpone mixture over the soaked savoirdi, smoothing the top of the layer. Place the cocoa powder in a fine-mesh sieve and sprinkle over the top of the mascarpone layer.
Repeat the dipping and arrangement of the savoirdi, spreading of the mascarpone mixture and dusting of the cocoa powder twice more. Cover with plastic wrap and refrigerate for at least 6 hours before serving. Leftovers can be stored, covered, in the refrigerator for up to 3 days.